文章基本信息

标题：Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems
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作者：Boswijk, H. Peter ; Paruolo, Paolo
期刊名称：Econometrics
印刷版ISSN：2225-1146
出版年度：2017
卷号：5
期号：3
页码：1-17
出版社：MDPI, Open Access Journal
摘要：Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in I(2) VAR systems are discussed. It is shown how hypotheses on the common trends loading matrices can be translated into hypotheses on the cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties sketched. The techniques are illustrated using the analysis of the PPP and UIP between Switzerland and the US.
关键词：cointegration; common trends; identification; VAR; I(2)